What changed in this filing

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Item 2. Management’s Discussion and Analysis

2024-11-14 compared with 2024-08-14 · 519 added, 542 removed, 78 unchanged (93% of the section changed)

Management’s Discussion and Analysis

of Financial Condition and Results of Operations.

This information should

be read in conjunction with the financial statements and notes included in Item 1 of Part I of this Quarterly Report (the “ Report ” ).

The discussion and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of

Section 21E of the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial

Words such as “ anticipate, ” “ expect, ” “ intend, ” “ plan, ”

“ believe, ” “ seek, ” “ outlook ” and “ estimate, ”

as well as similar words and phrases, signify forward-looking statements.

The forward-looking statements of Tidal Commodities

Trust I (the “ Trust ” ) are not a guarantee of future results and conditions, and important factors, risks

and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking statements.

or not actual results and developments will conform to our Sponsor’s expectations and predictions, however, is subject to

a number of risks and uncertainties, including the special considerations discussed in this Report;

general economic, market and

business conditions;

changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory

Management’s Discussion and Analysis of Financial

Condition and Results of Operations.

This information should be read in conjunction

with the financial statements and notes included in Item 1 of Part I of this Quarterly Report (the “ Report ” ).

The discussion and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of Section

21E of the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial results.

such as “ anticipate, ” “ expect, ” “ intend, ” “ plan, ” “ believe, ”

“ seek, ” “ outlook ” and “ estimate, ” as well as similar words and phrases,

signify forward-looking statements.

The forward-looking statements of Tidal Commodities Trust I (the “ Trust ” )

are not a guarantee of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ

materially from those expressed in our forward-looking statements.

Whether or not actual results and developments will conform to our

Sponsor’s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations

discussed in this Report;

general economic, market and business conditions;

changes in laws or regulations, including those concerning

taxes, made by governmental authorities or regulatory bodies;

the costs and effect of any litigation or regulatory investigations;

technology developments regarding the use of bitcoin

and other digital assets, including the systems used by Tidal Investments LLC (the “ Sponsor ”) in its

provision of services to the Trust;

developments regarding the use of bitcoin and other digital assets, including the systems used by Tidal Investments LLC (the “ Sponsor ”)

in its provision of services to the Trust;

the Sponsor’s conflict of interest in allocating resources among its different clients

and the pursuit of future business or investment opportunities by the Sponsor, its officers and/or affiliated entities;

world economic and political developments.

These and other risks

and uncertainties, which are described in more detail in our Annual Report on Form 10-K, filed with the SEC on April 1, 2024, could

cause our actual results to differ materially from those expressed or implied by the forward-looking statements in this report.

You should not place undue reliance on any forward-looking statements.

Except as expressly required by the Federal securities

laws, the Sponsor undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties

or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other

reason after the date of this Report.

and other world

economic and political developments.

These and other risks and uncertainties, which

are described in more detail in our Annual Report on Form 10-K, filed with the SEC on April 1, 2024, could cause our actual results to

differ materially from those expressed or implied by the forward-looking statements in this report.

You should not place undue reliance

on any forward-looking statements.

Except as expressly required by the Federal securities laws, the Sponsor undertakes no obligation to

publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result

of new information, future events or changed circumstances or for any other reason after the date of this Report.

Overview/Introduction

Tidal Commodities Trust I

(“Trust”), a Delaware statutory trust organized on February 10, 2023, is a series trust currently consisting of one

Hashdex Bitcoin ETF (f/k/a Hashdex Bitcoin Futures ETF) (“DEFI” or the “Fund”).

The Fund is a commodity

The Fund issues shares of beneficial interest, called “Shares,” representing fractional undivided beneficial

interests in the Fund.

The Fund’s investment objective is for changes in the Shares’ net asset value (“NAV”)

to reflect the daily changes of the price of the Nasdaq Bitcoin Reference Price - Settlement (NQBTCS) (the “Benchmark”),

less expenses from the Fund’s operations.

The Benchmark is designed to track the price performance of bitcoin.

The Fund invests

in bitcoin, bitcoin futures contracts (“Bitcoin Futures Contracts”) listed on the Chicago Mercantile Exchange Inc.

Tidal Commodities Trust I (“Trust”),

a Delaware statutory trust organized on February 10, 2023, is a series trust currently consisting of one series:

Hashdex Bitcoin ETF (f/k/a

Hashdex Bitcoin Futures ETF) (“DEFI” or the “Fund”).

The Trust also includes one additional series, the 7RCC Spot Bitcoin and Carbon Credit Futures ETF, which may be publicly offered in the

The Fund is a commodity pool.

The Fund issues shares of beneficial

interest, called “Shares,” representing fractional undivided beneficial interests in the Fund.

The Fund’s investment

objective is for changes in the Shares’ net asset value (“NAV”) to reflect the daily changes of the price of the Nasdaq

Bitcoin Reference Price - Settlement (NQBTCS) (the “Benchmark”), less expenses from the Fund’s operations.

The Benchmark

is designed to track the price performance of bitcoin.

The Fund invests in bitcoin, bitcoin futures contracts (“Bitcoin Futures

Contracts”) listed on the Chicago Mercantile Exchange Inc.

(“CME”), and cash and cash equivalents.

Because the Fund’s investment objective is to track the price of the

Benchmark, changes in the price of the Shares may vary from changes in the spot price of bitcoin.

The Trust and the Fund operate

pursuant to the Trust’s Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”),

dated March 10, 2023.

Because the Fund’s

investment objective is to track the price of the Benchmark, changes in the price of the Shares may vary from changes in the spot price

The Trust and the Fund operate pursuant to the

Trust’s Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), dated March 10, 2023.

On January 2, 2024, the initial Form S-1 for DEFI was declared effective by the U.S.

Securities and Exchange

Commission (“SEC”).

As noted below, the Fund is the successor to the Predecessor Fund (defined below), which commenced

operations in September 2022.

The Fund’s shares trade on the NYSE Arca stock exchange (“NYSE Arca”).

registration statement for DEFI was declared effective by the SEC on January 2, 2024 and registered an indeterminate number of

BitGo Trust Company, Inc (the “Bitcoin Custodian”) is the custodian for the Fund’s bitcoin holdings;

is the custodian for the Fund’s cash and cash equivalents holdings (the “Cash Custodian”

and together with the Bitcoin Custodian, the “Custodians”).

The Fund is the successor

and surviving entity from the merger (the “Merger”) of the Hashdex Bitcoin Futures ETF (the “Predecessor Fund”)

into the Fund.

The Predecessor Fund was a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored

by Teucrium Trading, LLC (“Prior Sponsor”).

Securities and Exchange Commission (“SEC”).

As noted below, the Fund is the successor to the Predecessor Fund (defined below), which commenced operations in September 2022.

shares trade on the NYSE Arca stock exchange (“NYSE Arca”).

The current registration statement for DEFI was declared effective

by the SEC on January 2, 2024 and registered an indeterminate number of Shares.

BitGo Trust Company, Inc (the “Bitcoin Custodian”)

is the custodian for the Fund’s bitcoin holdings;

is the custodian for the Fund’s cash and cash equivalents

holdings (the “Cash Custodian” and together with the Bitcoin Custodian, the “Custodians”).

The Fund is the successor and surviving entity

from the merger (the “Merger”) of the Hashdex Bitcoin Futures ETF (the “Predecessor Fund”) into the Fund.

Predecessor Fund was a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored by Teucrium Trading, LLC

(“Prior Sponsor”).

The Merger closed on January 3, 2024.

In connection with the Merger, the

Predecessor Fund shareholders received one Share for each share of the Predecessor Fund they owned prior to the Merger.

The sponsor of

the Trust is Tidal Investments LLC, a Delaware limited liability company (the “Sponsor”).

The principal office of

the Sponsor is Milwaukee, Wisconsin and the Trust is located at 234 West Florida Street, Suite 203, Milwaukee, Wisconsin

The Sponsor is registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading

Commission (“CFTC”) and is a member of the National Futures Association (“NFA”).

The Fund intends to

be treated as a partnership for U.S.

In connection with the Merger, the Predecessor Fund shareholders

received one Share for each share of the Predecessor Fund they owned prior to the Merger.

The sponsor of the Trust is Tidal Investments

LLC, a Delaware limited liability company (the “Sponsor”).

The principal office of the Sponsor is Milwaukee, Wisconsin and

the Trust is located at 234 West Florida Street, Suite 203, Milwaukee, Wisconsin 53204.

The Sponsor is registered as a commodity pool

operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures

Association (“NFA”).

The Fund intends to be treated as a partnership for U.S.

federal income tax purposes.

The Sponsor has sponsored the Trust since 2023.

the Fund will be the Sponsor’s first experience in operating an exchange traded product that invests in crypto-currency

futures or directly in bitcoin.

The Sponsor’s responsibilities are discussed below in the section entitled

“ The Sponsor’s Operations.

While investors will purchase

and sell Shares through their broker-dealer, the Fund continuously offers creation baskets consisting of 10,000 Shares (“Creation

Baskets”) at their net asset value (“NAV”) to certain financial institutions that have entered into an agreement

with the Sponsor (“Authorized Purchasers”).

The Sponsor has

sponsored the Trust since 2023.

Sponsoring the Fund will be the Sponsor’s first experience in operating an exchange traded product

that invests in crypto-currency futures or directly in bitcoin.

The Sponsor’s responsibilities are discussed below in the section

entitled “ The Sponsor’s Operations.

While investors will purchase and sell Shares

through their broker-dealer, the Fund continuously offers creation baskets consisting of 10,000 Shares (“Creation Baskets”)

at their net asset value (“NAV”) to certain financial institutions that have entered into an agreement with the Sponsor (“Authorized

Purchasers”).

Recent Developments

Me rg er with Hashdex Bitcoin Futures ETF

On January 3, 2024, the Trust

completed the Merger and acquisition of the Predecessor Fund, a series of the Predecessor Trust, into the Fund, a series of the

The Merger was effected pursuant to an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30,

2023 (the “Plan of Merger”) between the Predecessor Trust, on behalf of its Predecessor Fund series, and the Trust,

on behalf of its Fund series.

Pursuant to the Plan of Merger,

each Predecessor Fund shareholder received one share of the Fund for every one share of the Predecessor Fund held immediately before

the commencement of trading on the NYSE Arca on the Closing Date based on the net asset value per share of the Predecessor Fund

being equal to the net asset value per share of the Fund determined immediately prior to the Merger closing.

The share price used

for the delivery of shares of the Predecessor Fund was the net asset value per share of the Predecessor Fund determined after the

close of business of NYSE Arca on January 2, 2024.

Consequently, the Merger resulted in a one-for-one exchange of shares between

the Predecessor Fund and the Fund.

Further, the Fund acquired in the Merger all the assets of the Predecessor Fund and assumed

all the liabilities of the Predecessor Fund.

Effective the Merger closing, the Plan of Merger caused all of the Predecessor Fund’s

shares to be cancelled and the Predecessor Fund to be liquidated.

The Merger did not materially

modify the rights of Predecessor Fund shareholders with respect to their investment.

The Fund has the same investment objective,

investment strategies and investment restrictions, and substantially identical investment risks, as those had by the Predecessor

Following the Merger, the Fund is now sponsored by the Sponsor, Tidal Investments LLC (f/k/a Toroso Investments LLC), and

the Fund is now managed by portfolio managers employed by the Sponsor.

The Fund pays the same management fee rate to the Sponsor,

under the same terms, as previously paid by the Predecessor Fund to Teucrium Trading, LLC, the sponsor of the Predecessor Trust

and the Predecessor Fund.

The Fund’s shares commenced trading on the NYSE

Arca upon the effectiveness of the Merger under the ticker symbol “ DEFI.

ect of Merger - Conversion to U.S.

On January 3, 2024, the Trust completed the Merger

and acquisition of the Predecessor Fund, a series of the Predecessor Trust, into the Fund, a series of the Trust.

The Merger was effected

pursuant to an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 (the “Plan of Merger”)

between the Predecessor Trust, on behalf of its Predecessor Fund series, and the Trust, on behalf of its Fund series.

Pursuant to the Plan of Merger, each Predecessor

Fund shareholder received one share of the Fund for every one share of the Predecessor Fund held immediately before the commencement of

trading on the NYSE Arca on the Closing Date based on the net asset value per share of the Predecessor Fund being equal to the net asset

value per share of the Fund determined immediately prior to the Merger closing.

The share price used for the delivery of shares of the

Predecessor Fund was the net asset value per share of the Predecessor Fund determined after the close of business of NYSE Arca on January

Consequently, the Merger resulted in a one-for-one exchange of shares between the Predecessor Fund and the Fund.

Fund acquired in the Merger all the assets of the Predecessor Fund and assumed all the liabilities of the Predecessor Fund.

the Merger closing, the Plan of Merger caused all of the Predecessor Fund’s shares to be cancelled and the Predecessor Fund to be

The Merger did not materially modify the rights

of Predecessor Fund shareholders with respect to their investment.

The Fund has the same investment objective, investment strategies and

investment restrictions, and substantially identical investment risks, as those had by the Predecessor Fund.

Following the Merger, the

Fund is now sponsored by the Sponsor, Tidal Investments LLC (f/k/a Toroso Investments LLC), and the Fund is now managed by portfolio managers

employed by the Sponsor.

The Fund pays the same management fee rate to the Sponsor, under the same terms, as previously paid by the Predecessor

Fund to Teucrium Trading, LLC, the sponsor of the Predecessor Trust and the Predecessor Fund.

The Fund’s shares commenced trading on the NYSE Arca upon the

effectiveness of the Merger under the ticker symbol “ DEFI.

Eff ect of Merger - Conversion to U.S.

Spot Bitcoin ETF

On March 26, 2024, the Trust

announced that the Fund would be permitted to have spot bitcoin holdings, and that it would track the Benchmark effective March

The Predecessor Fund’s name was the Hashdex Bitcoin Futures ETF, and the Fund’s name is the Hashdex Bitcoin

Effective as of March 27, the Fund has a policy to maximize its holdings of physical bitcoin such that it is expected that

at least 95% of the Fund’s assets will be invested in spot bitcoin.

Up to 5% of the Fund’s remaining assets may be

invested in CME-traded bitcoin futures contracts and in cash and cash equivalents.

On March 26, 2024, the Trust announced that the

Fund would be permitted to have spot bitcoin holdings, and that it would track the Benchmark effective March 27, 2024.

The Predecessor

Fund’s name was the Hashdex Bitcoin Futures ETF, and the Fund’s name is the Hashdex Bitcoin ETF.

Effective as of March 27,

the Fund has a policy to maximize its holdings of physical bitcoin such that it is expected that at least 95% of the Fund’s assets

will be invested in spot bitcoin.

Up to 5% of the Fund’s remaining assets may be invested in CME-traded bitcoin futures contracts

and in cash and cash equivalents.

Performance Summary

This report covers the periods

from January 1, 2024 to June 30, 2024 for DEFI.

Total expenses are presented both gross and net of any expenses waived or paid

by the Sponsor that would have been incurred by the Funds (“expenses waived by the Sponsor”).

This report covers the periods from January 1,

2024 to September 30, 2024 for DEFI.

Total expenses are presented both gross and net of any expenses waived or paid by the Sponsor that

would have been incurred by the Fund (“expenses waived by the Sponsor”).

Per Share Operation Performance

2 unchanged sentences

Investment income

Net realized and unrealized gain (loss) on cryptocurrency futures contracts

Net realized and unrealized gain (loss) on cryptocurrency futures contracts and investments

Total expenses

6 unchanged sentences

Market Outlook - The Bitcoin Industry

Bitcoin is a digital asset

that serves as the unit of account on an open-source, decentralized, peer-to-peer computer network.

Bitcoin may be used to pay

for goods and services, stored for future use, or converted to a fiat currency.

As of the date of this update, the adoption of

bitcoin for these purposes has been limited.

The value of bitcoin is not backed by any government, corporation, or other identified

The value of bitcoin is determined

in part by the supply of (which is limited), and demand for, bitcoin in the markets for exchange that have been organized to facilitate

the trading of bitcoin.

Bitcoin is a digital asset that serves as the

unit of account on an open-source, decentralized, peer-to-peer computer network.

Bitcoin may be used to pay for goods and services, stored

for future use, or converted to a fiat currency.

As of the date of this update, the adoption of bitcoin for these purposes has been limited.

The value of bitcoin is not backed by any government, corporation, or other identified body.

The value of bitcoin is determined in part by

the supply of (which is limited), and demand for, bitcoin in the markets for exchange that have been organized to facilitate the trading

By design, the supply of bitcoin is limited to 21 million bitcoins.

As of the date of this update, there

are approximately 19 million bitcoins in circulation.

Bitcoin is maintained on

the Bitcoin Network.

As of the date of this update, there are approximately

19 million bitcoins in circulation.

Bitcoin is maintained on the Bitcoin Network.

No single entity owns or operates the Bitcoin Network.

The Bitcoin Network is accessed through software and

governs bitcoin’s creation and movement.

The source code for the Bitcoin Network, often referred to as the Bitcoin Protocol,

is open-source, and anyone can contribute to its development.

Price movements for bitcoin

are influenced by, among other things, the environment, natural or man-made disasters, governmental oversight and regulation, demographics,

economic conditions, infrastructure limitations, existing and future technological developments, and a variety of other factors

now known and unknown, any and all of which can have an impact on the supply, demand, and price fluctuations in the bitcoin markets.

More generally, cryptocurrency prices may be influenced by economic and monetary events such as changes in interest rates, changes

in balances of payments and trade, U.S.

The Bitcoin Network is accessed through software and governs bitcoin’s creation

and movement.

The source code for the Bitcoin Network, often referred to as the Bitcoin Protocol, is open-source, and anyone can contribute

to its development.

Price movements for bitcoin are influenced by,

among other things, the environment, natural or man-made disasters, governmental oversight and regulation, demographics, economic conditions,

infrastructure limitations, existing and future technological developments, and a variety of other factors now known and unknown, any

and all of which can have an impact on the supply, demand, and price fluctuations in the bitcoin markets.

More generally, cryptocurrency

prices may be influenced by economic and monetary events such as changes in interest rates, changes in balances of payments and trade,

and international inflation rates, currency valuations and devaluations, U.S.

and international

economic events, and changes in the philosophies and emotions of market purchasers.

Because the Predecessor Fund invested in futures

contracts in a single cryptocurrency, it was not a diversified investment vehicle, and therefore may have been subject to greater

volatility than a diversified portfolio of stocks or bonds or a more diversified commodity or cryptocurrency pool.

Likewise, because

the Fund invests in spot bitcoin and futures contracts in a single cryptocurrency, it is not a diversified investment vehicle,

and therefore may be subject to greater volatility than a diversified portfolio of stocks or bonds or a more diversified commodity

or cryptocurrency pool.

Trading in instruments such

as Futures Contracts will involve the Fund entering into contractual commitments to purchase or sell specific amounts of cryptocurrencies

at a specified date in the future.

The gross or face amount of the contracts is expected to significantly exceed the future cash

requirements of the Fund as the Fund intends to close out any open positions prior to the contractual expiration date.

the Fund’s market risk is the risk of loss arising from the decline in value of the contracts, not from the need to make

delivery under the contracts.

The Fund considers the “fair value” of derivative instruments to be the unrealized gain

or loss on the contracts.

The market risk associated with the commitment by the Fund to purchase a specific cryptocurrency will

be limited to the aggregate face amount of the contacts held.

The exposure of the Fund

to market risk will depend on a number of factors including the markets for the specific cryptocurrency, the volatility of interest

rates and foreign exchange rates, the liquidity of the Bitcoin Futures Contracts markets and the relationships among the contracts

held by the Fund.

When the Fund enters into

futures contracts, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations.

of credit risk, the counterparty for the futures contracts traded on the CBOT, ICE and CME is the clearinghouse associated with

those exchanges.

In general, clearinghouses are backed by their members who may be required to share in the financial burden resulting

from the nonperformance of one of their members, which should significantly reduce credit risk.

Some foreign exchanges are not

backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions.

Unlike in the

case of exchange traded futures contracts, the counterparty to an over the counter futures contract is generally a single bank

or other financial institution.

As a result, there will be greater counterparty credit risk in over the counter transactions.

can be no assurance that any counterparty, clearinghouse, or their financial backers will satisfy their obligations to the Fund.

The Sponsor will attempt

to manage the credit risk of the Fund by following certain trading limitations and policies.

In particular, the Fund intends to

post margin and collateral and/or hold liquid assets that will be equal to approximately the face amount of the futures contracts

The Sponsor will implement procedures that will include, but will not be limited to, executing and clearing trades and

entering into over the counter transactions only with parties it deems creditworthy and/or requiring the posting of collateral

by such parties for the benefit of each Fund to limit its credit exposure.

The CEA requires all FCMs,

such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate customer

funds from proprietary funds and account separately for all customers’ funds and positions, and to maintain specified books

and records open to inspection by the staff of the CFTC.

The CFTC has similar authority over introducing brokers, or persons who

solicit or accept orders for commodity interest trades but who do not accept margin deposits for the execution of trades.

authorizes the CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require action by exchanges

in the event of market emergencies, and establishes an administrative procedure under which customers may institute complaints

for damages arising from alleged violations of the CEA.

The CEA also gives the states powers to enforce its provisions and the

regulations of the CFTC.

On November 14, 2013, the

CFTC published final regulations that require enhanced customer protections, risk management programs, internal monitoring and

controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended

to afford greater assurances to market participants that customer segregated funds and secured amounts are protected, customers

are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business,

FCMs are monitoring and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the

continued operations and the auditing and examination programs of the CFTC and the SROs are monitoring the activities of FCMs in

a thorough manner.

StoneX and Phillip Capital serve as the Fund’s

clearing brokers to execute futures contracts and provide other brokerage-related services.

and international economic events, and changes in the

philosophies and emotions of market purchasers.

Because the Predecessor Fund invested in futures contracts in a single cryptocurrency,

it was not a diversified investment vehicle, and therefore may have been subject to greater volatility than a diversified portfolio of

stocks or bonds or a more diversified commodity or cryptocurrency pool.

Likewise, because the Fund invests in spot bitcoin and futures

contracts in a single cryptocurrency, it is not a diversified investment vehicle, and therefore may be subject to greater volatility than

a diversified portfolio of stocks or bonds or a more diversified commodity or cryptocurrency pool.

Trading in instruments such as Futures Contracts

will involve the Fund entering into contractual commitments to purchase or sell specific amounts of cryptocurrencies at a specified date

in the future.

The gross or face amount of the contracts is expected to significantly exceed the future cash requirements of the Fund

as the Fund intends to close out any open positions prior to the contractual expiration date.

As a result, the Fund’s market risk

is the risk of loss arising from the decline in value of the contracts, not from the need to make delivery under the contracts.

considers the “fair value” of derivative instruments to be the unrealized gain or loss on the contracts.

The market risk associated

with the commitment by the Fund to purchase a specific cryptocurrency will be limited to the aggregate face amount of the contacts held.

The exposure of the Fund to market risk will depend

on a number of factors including the markets for the specific cryptocurrency, the volatility of interest rates and foreign exchange rates,

the liquidity of the Bitcoin Futures Contracts markets and the relationships among the contracts held by the Fund.

When the Fund enters into futures contracts, it

will be exposed to the credit risk that the counterparty will not be able to meet its obligations.

For purposes of credit risk, the counterparty

for the futures contracts traded on the CBOT, ICE and CME is the clearinghouse associated with those exchanges.

In general, clearinghouses

are backed by their members who may be required to share in the financial burden resulting from the non-performance of one of their members,

which should significantly reduce credit risk.

Some foreign exchanges are not backed by their clearinghouse members but may be backed

by a consortium of banks or other financial institutions.

Unlike in the case of exchange traded futures contracts, the counterparty to

an over the counter futures contract is generally a single bank or other financial institution.

As a result, there will be greater counterparty

credit risk in over the counter transactions.

There can be no assurance that any counterparty, clearinghouse, or their financial backers

will satisfy their obligations to the Fund.

The Sponsor will attempt to manage the credit

risk of the Fund by following certain trading limitations and policies.

In particular, the Fund intends to post margin and collateral

and/or hold liquid assets that will be equal to approximately the face amount of the futures contracts it holds.

The Sponsor will implement

procedures that will include, but will not be limited to, executing and clearing trades and entering into over the counter transactions

only with parties it deems creditworthy and/or requiring the posting of collateral by such parties for the benefit of each Fund to limit

its credit exposure.

The CEA requires all FCMs, such as the Fund’s

clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate customer funds from proprietary funds

and account separately for all customers’ funds and positions, and to maintain specified books and records open to inspection by

the staff of the CFTC.

The CFTC has similar authority over introducing brokers, or persons who solicit or accept orders for commodity

interest trades but who do not accept margin deposits for the execution of trades.

The CEA authorizes the CFTC to regulate trading by

FCMs and by their officers and directors, permits the CFTC to require action by exchanges in the event of market emergencies, and establishes

an administrative procedure under which customers may institute complaints for damages arising from alleged violations of the CEA.

CEA also gives the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published final

regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity

standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford greater assurances to

market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of

the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust

manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs

of the CFTC and the SROs are monitoring the activities of FCMs in a thorough manner.

StoneX and Phillip Capital serve as the Fund’s clearing brokers

to execute futures contracts and provide other brokerage-related services.

Results of Operations

The discussion below addresses the material changes

in the results of operations for the three and six months ended June 30, 2024 compared to the same period in 2023.

Total expenses for the current

and comparative period are presented both gross and net of any expenses waived or paid by the Prior Sponsor that would have been

incurred by the Fund (“expenses waived by the Prior Sponsor”).

For all expenses waived in 2023, the Prior Sponsor is

not entitled to reimbursement.

“Total expenses, net” is after the impact of any expenses waived by the Prior Sponsor,

are presented in the same manner as previously reported.

There is, therefore, no impact to or change in the Net gain or Net loss

in any period for the Trust and the Fund as a result of this change in presentation.

The Fund is the successor

and surviving entity from the Merger of the Predecessor Fund into the Fund.

The Predecessor Fund was a series of the Teucrium Commodity

Trust sponsored by Teucrium Trading, LLC.

The discussion below addresses the material changes in the results

of operations for the three and nine months ended September 30, 2024 compared to the same period in 2023.

Total expenses for the current and comparative

period are presented both gross and net of any expenses waived or paid by the Prior Sponsor that would have been incurred by the Fund

(“expenses waived by the Prior Sponsor”).

For all expenses waived in 2023, the Prior Sponsor is not entitled to reimbursement.

“Total expenses, net” is after the impact of any expenses waived by the Prior Sponsor, are presented in the same manner as

previously reported.

There is, therefore, no impact to or change in the Net gain or Net loss in any period for the Trust and the Fund

as a result of this change in presentation.

The Fund is the successor and surviving entity

from the Merger of the Predecessor Fund into the Fund.

The Predecessor Fund was a series of the Teucrium Commodity Trust sponsored by

Teucrium Trading, LLC.

The Predecessor Fund commenced operations on September 15, 2022.

The investment objective

of both the Predecessor Fund and the Fund (for the period from January 3, 2024 to March 26, 2024) was for changes in the Fund’s

shares’ net asset value (“NAV”) to reflect the daily changes of the price of the Hashdex U.S.

Bitcoin Futures

Fund Benchmark (the “Prior Benchmark”), less expenses from such Fund’s operations.

The Prior Benchmark reflect

the average of the closing settlement prices for the first to expire and second to expire bitcoin futures contracts listed on the

Chicago Mercantile Exchange (“CME”).

Effective as of March 27,

2024, the Fund’s investment objective and strategy were revised to reflect that the Fund could have spot bitcoin holdings.

That is, the Fund’s investment objective is for changes in the Shares’ NAV to reflect the daily changes of the price

of the Nasdaq Bitcoin Reference Price - Settlement (NQBTCS) (the “Benchmark”), less expenses from the Fund’s

Under normal market conditions, the Fund’s current policy is to maximize its holdings of physical bitcoin such

that it is expected that at least 95% of the Fund’s assets will be invested in spot bitcoin.

Up to 5% of the Fund’s

remaining assets may be invested in CME-traded bitcoin futures contracts and in cash and cash equivalents.

Performance data from

September 15, 2022, to January 3, 2024, reflects the performance of the Predecessor Fund.

Performance from January 4, 2024, to

March 26, 2024, reflects the Fund’s performance under its previous investment strategy, which involved investing in futures

Performance data from March 27, 2024, onward reflect the Fund’s current investment strategy.

On June 30, 2024, the Fund

held a total of 1 CME bitcoin futures contracts with a notional value of $301,625 and an asset net fair value of $7,725.

also held 17,831 Units of spot bitcoin with an asset fair value of $10,676,172.

June 30, 2024

June 30, 2023

December 31, 2023

The investment objective of both the Predecessor

Fund and the Fund (for the period from January 3, 2024 to March 26, 2024) was for changes in the Fund’s shares’ net asset

value (“NAV”) to reflect the daily changes of the price of the Hashdex U.S.

Bitcoin Futures Fund Benchmark (the “Prior

Benchmark”), less expenses from such Fund’s operations.

The Prior Benchmark reflect the average of the closing settlement

prices for the first to expire and second to expire bitcoin futures contracts listed on the Chicago Mercantile Exchange (“CME”).

Effective as of March 27, 2024, the Fund’s

investment objective and strategy were revised to reflect that the Fund could have spot bitcoin holdings.

That is, the Fund’s investment

objective is for changes in the Shares’ NAV to reflect the daily changes of the price of the Nasdaq Bitcoin Reference Price - Settlement

(NQBTCS) (the “Benchmark”), less expenses from the Fund’s operations.

Under normal market conditions, the Fund’s

current policy is to maximize its holdings of physical bitcoin such that it is expected that at least 95% of the Fund’s assets will

be invested in spot bitcoin.

Up to 5% of the Fund’s remaining assets may be invested in CME-traded bitcoin futures contracts and

in cash and cash equivalents.

Performance data from September 15, 2022, to

January 3, 2024, reflects the performance of the Predecessor Fund.

Performance from January 4, 2024, to March 26, 2024, reflects the Fund’s

performance under its previous investment strategy, which involved investing in futures contracts.

Performance data from March 27, 2024,

onward reflect the Fund’s current investment strategy.

On September 30, 2024, the Fund held 14,800 Units

of spot bitcoin with an asset fair value of $9,379,568.

September 30,

Total Net Assets

2 unchanged sentences

Closing Price

Total net assets for the

Fund increased year over year by 465%, driven by a combination of an increase in shares outstanding of 109,996 shares or 220% and

an increase in the NAV per share of $29.65 or 76%.

The change in total net assets year over year was generally due to the interconnected

impact of two factors:

(i) a surge in net investors flow to the Fund, evidenced by the 76% increase in shares outstanding, particularly

following the approval of the spot bitcoin ETF in the USA;

and (ii) the Bitcoin price appreciation from $30,477.25 per Bitcoin

as of June 30, 2023, to $59,874.22 per Bitcoin as of June 30, 2024, representing an approximate 196% increase during the period

July 1, 2023 to June 30, 2024.

For the three months ended June 30, 2024, compared to the

three months ended June 30, 2023

Total net assets for the Fund increased year over

year by 462%, driven by a combination of an increase in shares outstanding of 79,996 shares or 160% and an increase in the NAV per share

of $38.81 or 116%.

The change in total net assets year over year was generally due to the interconnected impact of two factors:

surge in net investors flow to the Fund, evidenced by the 116% increase in shares outstanding, particularly following the approval of

the spot bitcoin ETF in the USA;

and (ii) the Bitcoin price appreciation from $26,967.92 per Bitcoin as of September 30, 2023, to $63,329.50

per Bitcoin as of September 30, 2024, representing an approximate 35% increase during the period September 1, 2023 to September 30, 2024.

For the three months ended September 30, 2024, compared to the three

months ended September 30, 2023

Quarter Ended

June 30, 2024

September 30, 2024

Quarter Ended

June 30, 2023

September 30, 2023

Average daily total net assets

Net realized and unrealized gain on futures contracts

Net realized and unrealized gain on futures contracts and investments

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

$ (2,022,552 )

Weighted average share outstanding

8 unchanged sentences

Redemption of Shares

For the six months ended June 30, 2024, compared to the six

months ended June 30, 2023

Six Months Ended

June 30, 2024

Six Months Ended

June 30, 2023

For the nine months ended September 30, 2024, compared to the nine

months ended September 30, 2023

September 30, 2024

September 30, 2023

Average daily total net assets

Net realized and unrealized gain on futures contracts

Net realized and unrealized gain on futures contracts and investments

Interest income earned on cash equivalents

10 unchanged sentences

Redemption of Shares

Net Realized Gain or Loss on Futures

Realized gain or loss on

trading of commodity futures contracts is a function of:

1) the change in the price of the particular contracts sold as part of

a “roll” in contracts as the nearest to expire contracts are exchanged for the appropriate contract given the investment

objective of the fund, 2) the change in the price of particular contracts sold in relation to redemption of shares, 3) the gain

or loss associated with rebalancing trades which are made to ensure conformance to the benchmark, 4) the number of contracts held

and then sold for either circumstance aforementioned.

The Fund recognizes the expense for brokerage commissions for futures contract

trades on a per trade basis.

Unrealized gain or loss on trading of commodity futures contracts is a function of the change in the

price of contracts held on the final date of the period versus the purchase price for each contract and the number of contracts

held in each contract month.

The Fund conducts creation and redemption transactions only for cash, and, with respect to creation

transactions, the cash is used to purchase Bitcoin Futures Contracts only.

The Fund will use Bitcoin Futures Contracts for the

primary purpose of using such Bitcoin Futures Contracts to acquire physical bitcoin through EFP transactions and to offset cash

and receivables for better tracking the Benchmark.

The increase in net realized and unrealized gain on futures contracts was related

to the increase in the Fund’s net assets and the Bitcoin price appreciation noted above.

The increase in interest

and other income year over year was due to an increase in net assets and an increase in Federal Fund Rates.

As a result, the amount

of interest income earned as a percentage of average daily total net assets was higher in the three and six months ended June 30,

2024, compared to the three and six months ended June 30, 2024.

The Fund seeks to earn interest and other income in investments

that may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in

Net Realized Gain or Loss on Futures Contracts

Realized gain or loss on trading of commodity

futures contracts is a function of:

1) the change in the price of the particular contracts sold as part of a “roll” in contracts

as the nearest to expire contracts are exchanged for the appropriate contract given the investment objective of the fund, 2) the change

in the price of particular contracts sold in relation to redemption of shares, 3) the gain or loss associated with rebalancing trades

which are made to ensure conformance to the benchmark, 4) the number of contracts held and then sold for either circumstance aforementioned.

The Fund recognizes the expense for brokerage commissions for futures contract trades on a per trade basis.

Unrealized gain or loss on

trading of commodity futures contracts is a function of the change in the price of contracts held on the final date of the period versus

the purchase price for each contract and the number of contracts held in each contract month.

The Fund conducts creation and redemption

transactions only for cash, and, with respect to creation transactions, the cash is used to purchase Bitcoin Futures Contracts only.

Fund will use Bitcoin Futures Contracts for the primary purpose of using such Bitcoin Futures Contracts to acquire physical bitcoin through

Exchange for Physical (“EFP”) transactions and to offset cash and receivables for better tracking the Benchmark.

The increase in net realized and unrealized gain

on futures contracts was related to the increase in the Fund’s net assets and the Bitcoin price appreciation noted above.

In the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023, the amount of interest income earned

as a percentage of average daily total net assets was higher.

The increase in interest and other income over these periods was primarily

due to an increase in the investments within short-term Treasury Securities, demand deposits, money market funds and/or investments in

commercial paper.

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses

and thus will impact your breakeven point.

The increase in management

fee paid to the Sponsor for the three and six months ended June 30, 2024, compared to the three months ended June 30, 2023, is

a result of higher Fund average net assets overall, which was also net of the Sponsor lowering the management fee from 0.94% to

0.90% per annum of the daily NAV of the Fund effective March 26, 2024.

Other than the management fee to the Sponsor the Fund incurred

brokerage commissions and trading fees.

Brokerage commissions are recognized on a per-trade basis to each futures contract’s

or bitcoin share’s cost basis.

In the three months ended September 30, 2024 compared to the three months ended September 30, 2023, the amount of interest income earned

as a percentage of daily total net assets was lower.

The decrease in interest and other income over these periods was primarily due to

a decrease in the investments within short-term Treasury Securities, demand deposits, money market funds and/or investments in commercial

The Fund seeks to earn interest and other income in investments that may include, but are not

limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper.

These interest rate

levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

The increase in management fee paid to the Sponsor

for the three and nine months ended September 30, 2024, compared to the three months ended September 30, 2023, is a result of higher Fund

average net assets overall, which was also net of the Sponsor lowering the management fee from 0.94% to 0.90% per annum of the daily NAV

of the Fund effective March 26, 2024.

Other than the management fee to the Sponsor the Fund incurred brokerage commissions and trading

Brokerage commissions are recognized on a per-trade basis to each futures contract’s or bitcoin share’s cost basis.

Trading fees for the Fund are recorded in the statement of operations as broker expenses.

The actual amount of trading fees to be incurred will vary based upon the trading frequency of the Fund.

For the three and six

months ended June 30, 2023, most of the expenses incurred by the Predecessor Fund were associated with the management fee and day-to-day

operation of the Fund and the necessary functions related to regulatory compliance.

Those were generally based on contracts, which

extend for some period of time and up to one year, or commitments regardless of the level of assets under management.

For the three

months and six months ended June 30, 2023, the Prior Sponsor waived expenses, which resulted in the Predecessor Fund’s annualized

net expense ratio of 0.94%, the Prior Sponsor’s annualized management fee.

The Sponsor has not elected to waive management

fees or other expenses.

These factors also explain the decrease in total gross fees and other expenses excluding management fees,

as well as the decrease in total gross expense ratio for the three and six months ended June 30, 2024, compared to the three and

six months ended June 30, 2023

The increase in total brokerage

commissions for the six months ended June 30, 2024, compared to the six months ended June 30, 2023, was primarily due to an increase

in futures contracts purchased, liquidated, and rolled and the purchase of bitcoin due to the relative net increase in shares outstanding

and increase in assets due to the bitcoin price appreciation.

The total brokerage commissions for three months ended June 30, 2024,

compared to the same period in 2023 were generally stable.

The graph below shows the

actual shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception

to June 30, 2024, and serves to illustrate the relative changes of these components.

The actual amount of trading fees to be incurred

will vary based upon the trading frequency of the Fund.

For the three and nine months ended September 30, 2023, most of the expenses incurred

by the Predecessor Fund were associated with the management fee and day-to-day operation of the Fund and the necessary functions related

to regulatory compliance.

Those were generally based on contracts, which extend for some period of time and up to one year, or commitments

regardless of the level of assets under management.

For the three months and nine months ended September 30, 2023, the Prior Sponsor waived

expenses, which resulted in the Predecessor Fund’s annualized net expense ratio of 0.94%, the Prior Sponsor’s annualized management

The Sponsor has not elected to waive management fees or other expenses.

These factors also explain the decrease in total gross fees

and other expenses excluding management fees, as well as the decrease in total gross expense ratio for the three and nine months ended

September 30, 2024, compared to the three and nine months ended September 30, 2023

The increase in total brokerage commissions for

the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023, was primarily due to an increase in futures

contracts purchased, liquidated, and rolled and the purchase of bitcoin due to the relative net increase in shares outstanding and increase

in assets due to the bitcoin price appreciation.

The total brokerage commissions for three months ended September 30, 2024, compared to

the same period in 2023 were generally stable.

The graph below shows the actual shares outstanding,

total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to September 30, 2024 and serves to

illustrate the relative changes of these components.

Off Balance Sheet Financing

The Trust or Fund has

no obligations, assets or liabilities which would be considered off-balance sheet arrangements as of June

Neither the Trust nor the Fund participates in transactions that create relationships with unconsolidated

entities or financial partnerships, often referred to as variable interest entities, which would have been established for the

purpose of facilitating off-balance sheet arrangements.

Neither the Trust nor the Fund have entered into any off-balance sheet

financing arrangements, established any special purpose entities, guaranteed any debt or commitments of other entities, or purchased

any non-financial assets.

The Trust or Fund has no obligations, assets or

liabilities which would be considered off-balance sheet arrangements as of September 30, 2024.

Neither the Trust nor the Fund participates

in transactions that create relationships with unconsolidated entities or financial partnerships, often referred to as variable interest

entities, which would have been established for the purpose of facilitating off-balance sheet arrangements.

Neither the Trust nor the

Fund have entered into any off-balance sheet financing arrangements, established any special purpose entities, guaranteed any debt or

commitments of other entities, or purchased any non-financial assets.

Liquidity and Capital Resources

The Fund does not anticipate

making use of borrowings or other lines of credit to meet its obligations.

The Fund meets its liquidity needs in the normal course

of business from the proceeds of the sale of its investments, from the cash and cash equivalents that it intends to hold, and/or

from the fee waivers provided by the Sponsor.

The Fund’s liquidity needs include redeeming its Shares, providing margin deposits

for existing Bitcoin Futures Contracts or the purchase of additional Bitcoin Futures Contracts, posting collateral for over-the-counter

contracts, and paying expenses.

In order to collateralize positions in Bitcoin Futures Contracts, a portion of the NAV of the Fund is held in cash and cash equivalents,

such as short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper.

A portion of these investments

may be posted as collateral in connection with Bitcoin Futures Contracts.

The percentage that cash and cash equivalents bear to the shareholders'

equity of the Fund varies from period to period as the market values of the Bitcoin Futures Contracts change.

The Fund earned $923 and

$21,192, respectively, in interest income during the three months ended June 30, 2024 and 2023, and $119,869 and $34,897, respectively,

in interest income during the six months June 30, 2024 and 2023.

If the Fund’s ability

to obtain exposure to Bitcoin Futures Contracts in accordance with its investment objective is disrupted for any reason, including limited liquidity in the bitcoin futures market, a disruption to the bitcoin futures market, or as a result of margin

requirements or position limits imposed by the Fund’s futures commission merchants, the CME, or the CFTC, the Fund may not

be able to achieve its investment objective and may experience significant losses.

Any disruption in the Fund’s ability to

obtain exposure to Bitcoin Futures Contracts will cause the Fund’s performance to deviate from the performance of Bitcoin

Futures Contracts.

In addition, the Fund might grow to a size where a lack of liquidity in the futures market meant that the Fund

could not sell enough futures contracts to honor redemption requests.

A market disruption, such

as a government taking regulatory or other actions that disrupt the market in bitcoin, can also make it difficult to liquidate

Unexpected market illiquidity may cause major losses to investors at any time or from time to time.

In addition, the

Fund does not intend at this time to establish a credit facility, which would provide an additional source of liquidity, but instead

will rely only on the cash and cash equivalents that it holds to meet its liquidity needs.

The anticipated value of the positions

in Benchmark Component Futures Contracts that the Sponsor will acquire or enter into for the Fund increases the risk of illiquidity.

Because Benchmark Component Futures Contracts may be illiquid, the Fund’s holdings may be more difficult to liquidate at

favorable prices in periods of illiquid markets and losses may be incurred during the period in which positions are being liquidated.

Critical Accounting

The Trust’s critical accounting

policies for the Fund is as follows:

The Fund does not anticipate making use of borrowings

or other lines of credit to meet its obligations.

The Fund meets its liquidity needs in the normal course of business from the proceeds

of the sale of its investments, from the cash and cash equivalents that it intends to hold, and/or from the fee waivers provided by the

The Fund’s liquidity needs include redeeming its Shares, providing margin deposits for existing Bitcoin Futures Contracts

or the purchase of additional Bitcoin Futures Contracts, posting collateral for over-the-counter contracts, and paying expenses.

In order to collateralize positions in Bitcoin

Futures Contracts, a portion of the NAV of the Fund is held in cash and cash equivalents, such as short-term Treasury Securities, demand

deposits, money market funds and investments in commercial paper.

A portion of these investments may be posted as collateral in connection

with Bitcoin Futures Contracts.

The percentage that cash and cash equivalents bear to the shareholders’ equity of the Fund varies from

period to period as the market values of the Bitcoin Futures Contracts change.

The Fund earned $1,524 and $21,202, respectively, in interest

income during the three months ended September 30, 2024 and 2023, and $184,244 and $56,099, respectively, in interest income during the

nine months ended September 30, 2024 and 2023.

If the Fund’s ability to obtain exposure

to Bitcoin Futures Contracts in accordance with its investment objective is disrupted for any reason, including limited liquidity in the

bitcoin futures market, a disruption to the bitcoin futures market, or as a result of margin requirements or position limits imposed by

the Fund’s futures commission merchants, the CME, or the CFTC, the Fund may not be able to achieve its investment objective and

may experience significant losses.

Any disruption in the Fund’s ability to obtain exposure to Bitcoin Futures Contracts will cause

the Fund’s performance to deviate from the performance of Bitcoin Futures Contracts.

In addition, the Fund might grow to a size

where a lack of liquidity in the futures market meant that the Fund could not sell enough futures contracts to honour redemption requests.

A market disruption, such as a government taking

regulatory or other actions that disrupt the market in bitcoin, can also make it difficult to liquidate a position.

Unexpected market

illiquidity may cause major losses to investors at any time or from time to time.

In addition, the Fund does not intend at this time to

establish a credit facility, which would provide an additional source of liquidity, but instead will rely only on the cash and cash equivalents

that it holds to meet its liquidity needs.

The anticipated value of the positions in Benchmark Component Futures Contracts that the Sponsor

will acquire or enter into for the Fund increases the risk of illiquidity.

Because Benchmark Component Futures Contracts may be illiquid,

the Fund’s holdings may be more difficult to liquidate at favorable prices in periods of illiquid markets and losses may be incurred

during the period in which positions are being liquidated.

Critical Accounting Policies

The Trust’s critical accounting policies

for the Fund is as follows:

Basis of Presentation

Preparation of the financial

statements and related disclosures in conformity with U.S.

generally accepted accounting principles (“GAAP”) requires

the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires management to make

estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure

of contingent assets and liabilities during the reporting period of the combined financial statements and accompanying notes.

Trust’s application of these policies involves judgments and actual results may differ from the estimates used.

Cryptocurrency Derivative

The Sponsor has determined

that the valuation of cryptocurrency interests that are not traded on a U.S.

or internationally recognized futures exchange (such

as swaps and other over the counter contracts) involves a critical accounting policy.

The values which are used by the Fund for

futures contracts will be provided by the broker who will use market prices when available, while over the counter contracts will

be valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement

of these derivative contracts prior to their delivery date.

Preparation of the financial statements and related

disclosures in conformity with U.S.

generally accepted accounting principles (“GAAP”) requires the application of appropriate

accounting rules and guidance, as well as the use of estimates, and requires management to make estimates and assumptions that affect

the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during

the reporting period of the combined financial statements and accompanying notes.

The Trust’s application of these policies involves

judgments and actual results may differ from the estimates used.

Cryptocurrency Derivative Transactions

The Sponsor has determined that the valuation

of cryptocurrency interests that are not traded on a U.S.

or internationally recognized futures exchange (such as swaps and other over

the counter contracts) involves a critical accounting policy.

The values which are used by the Fund for futures contracts will be provided

by the broker who will use market prices when available, while over the counter contracts will be valued based on the present value of

estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to

their delivery date.

Values will be determined on a daily basis.

Cryptocurrency futures contracts

held by the Fund are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to

market daily.

Unrealized appreciation or depreciation on commodity or cryptocurrency futures contracts are reflected in the statement

of operations as the difference between the original contract amount and the fair market value as of the last business day of the

year or as of the last date of the financial statements.

Changes in the appreciation or depreciation between periods are reflected

in the statement of operations.

Interest on cash equivalents and deposits are recognized on an accrual basis.

The Fund earns interest

on funds held at the custodian or other financial institutions at prevailing market rates for such investments.

Cash and cash Equivalents

Cryptocurrency futures contracts held by the Fund

are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to market daily.

appreciation or depreciation on commodity or cryptocurrency futures contracts are reflected in the statement of operations as the difference

between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial

Changes in the appreciation or depreciation between periods are reflected in the statement of operations.

Interest on cash

equivalents and deposits are recognized on an accrual basis.

The Fund earns interest on funds held at the custodian or other financial

institutions at prevailing market rates for such investments.

Cash and cash Equivalents

are cash held at financial institutions in demand-deposit accounts or highly liquid investments with original maturity dates of

three months or less at inception.

The Fund reports cash equivalents in the statements of assets and liabilities at market value,

or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities.

a substantial portion of assets on deposit with banks.

Assets deposited with financial institutions may, at times, exceed federally

insured limits.

Cash and cash equivalents are cash held at financial

institutions in demand-deposit accounts or highly liquid investments with original maturity dates of three months or less at inception.

The Fund reports cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate

fair value, because of their highly liquid nature and short-term maturities.

The Fund has a substantial portion of assets on deposit with

Assets deposited with financial institutions may, at times, exceed federally insured limits.

Fair Value - Definition and Hierarchy

In accordance with GAAP, fair value is defined as

the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly

transaction between market participants at the measurement date.

In determining fair value,

the Fund uses various valuation approaches.

In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair

value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable

inputs be used when available.

Observable inputs are those that market participants would use in pricing the asset or liability

based on market data obtained from sources independent of the Fund.

Unobservable inputs reflect the Fund’s assumptions about

the inputs market participants would use in pricing the asset or liability developed based on the best information available in

the circumstances.

The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 - Valuations

based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

In accordance with GAAP, fair value is defined as the price that would

be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market

participants at the measurement date.

In determining fair value, the Fund uses various

valuation approaches.

In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use

of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.

Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources

independent of the Fund.

Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing

the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy is categorized

into three levels based on the inputs as follows:

Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Valuation adjustments and block discounts are not applied to Level 1 financial instruments.

Since valuations are based on quoted

prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a

significant degree of judgment.

Level 2 - Valuations based

on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based

on inputs that are unobservable and significant to the overall fair value measurement.

The availability of valuation

techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of

factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace,

and other characteristics particular to the transaction.

To the extent that valuation is based on models or inputs that are less

observable or unobservable in the market, the determination of fair value requires more judgment.

Those estimated values do not

necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be

reasonably determined.

Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower

than the values that would have been used had a ready market for the financial instruments existed.

Accordingly, the degree of

judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3.

cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.

In such cases, for disclosure

purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based

on the lowest level input that is significant to the fair value measurement.

The Fund and records derivative

activities at fair value.

Since valuations are based on quoted prices

that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant

degree of judgment.

Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly

or indirectly.

Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The availability of valuation techniques and observable

inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of

financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular

to the transaction.

To the extent that valuation is based on models or inputs that are less observable or unobservable in the market,

the determination of fair value requires more judgment.

Those estimated values do not necessarily represent the amounts that may be ultimately

realized due to the occurrence of future circumstances that cannot be reasonably determined.

Because of the inherent uncertainty of valuation,

those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial

instruments existed.

Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments

categorized in Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.

In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety

falls, is determined based on the lowest level input that is significant to the fair value measurement.

The Fund and records derivative activities at

Gains and losses from derivative contracts are included in the statement of operations.

Derivative contracts

include futures contracts related to cryptocurrency prices.

Futures, which are listed on a national securities exchange, such as

the CME, or reported on another national market, are generally categorized in Level 1 of the fair value hierarchy.

OTC derivatives

contracts (such as forward and swap contracts) which may be valued using models, depending on whether significant inputs are observable

or unobservable, are categorized in Levels 2 or 3 of the fair value hierarchy.

Derivative contracts include futures

contracts related to cryptocurrency prices.

Futures, which are listed on a national securities exchange, such as the CME, or reported

on another national market, are generally categorized in Level 1 of the fair value hierarchy.

OTC derivatives contracts (such as forward

and swap contracts) which may be valued using models, depending on whether significant inputs are observable or unobservable, are categorized

in Levels 2 or 3 of the fair value hierarchy.

Brokerage Commissions

The Fund recognizes brokerage commissions on a full

Derivative Counterpar ty

Margin is the minimum amount

of funds that must be deposited by a cryptocurrency interest trader with the trader’s broker to initiate and maintain an

open position in futures contracts.

A margin deposit acts to assure the trader’s performance of the futures contracts purchased

Futures contracts are customarily bought and sold on initial margin that represents a small percentage of the aggregate

purchase or sales price of the contract.

Because of such low margin requirements, price fluctuations occurring in the futures markets

may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment

or speculation.

As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly

exceed the initial margin.

In addition, the amount of margin required in connection with a particular futures contract may be modified

from time to time by the exchange during the term of the contract.

Brokerage firms, such as the Fund’s clearing brokers,

carrying accounts for traders in commodity or cryptocurrency interest contracts generally require higher amounts of margin as a

matter of policy to further protect themselves.

Over the counter trading generally involves the extension of credit between counterparties,

so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure.

When a trader purchases an

option, there is no margin requirement;

The Fund recognizes brokerage commissions on a full trade basis.

Derivative Counterpar ty Ma rg in

Margin is the minimum amount of funds that must

be deposited by a cryptocurrency interest trader with the trader’s broker to initiate and maintain an open position in futures contracts.

A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold.

Futures contracts are customarily

bought and sold on initial margin that represents a small percentage of the aggregate purchase or sales price of the contract.

of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to

the amount invested, are greater than customary in other forms of investment or speculation.

As discussed below, adverse price changes

in the futures contract may result in margin requirements that greatly exceed the initial margin.

In addition, the amount of margin required

in connection with a particular futures contract may be modified from time to time by the exchange during the term of the contract.

firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity or cryptocurrency interest contracts generally

require higher amounts of margin as a matter of policy to further protect themselves.

Over the counter trading generally involves the

extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties

to address credit exposure.

When a trader purchases an option, there is no

margin requirement;

however, the option premium must be paid in full.

When a trader sells an option, on the

other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying

interest and, in addition, an amount substantially equal to the current premium for the option.

The margin requirements imposed

on the selling of options, although adjusted to reflect the probability that out of the money options will not be exercised, can

in fact be higher than those imposed in dealing in the futures markets directly.

Complicated margin requirements apply to spreads

and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in

the underlying interest.

Ongoing or “maintenance”

margin requirements are computed each day by a trader’s clearing broker.

When the market value of a particular open futures

contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made

by the broker.

If the margin call is not met within a reasonable time, the broker may close out the trader’s position.

respect to the Fund’s trading, the Fund (and not its shareholders personally) are subject to margin calls.

When a trader sells an option, on the other hand, he or she is required

to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount

substantially equal to the current premium for the option.

The margin requirements imposed on the selling of options, although adjusted

to reflect the probability that out of the money options will not be exercised, can in fact be higher than those imposed in dealing in

the futures markets directly.

Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in

which a trader acquires a mixture of options positions and positions in the underlying interest.

Ongoing or “maintenance” margin requirements

are computed each day by a trader’s clearing broker.

When the market value of a particular open futures contract changes to a point

where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker.

If the margin call

is not met within a reasonable time, the broker may close out the trader’s position.

With respect to the Fund’s trading, the

Fund (and not its shareholders personally) are subject to margin calls.

Finally, many major U.S.

exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions

held in an account would, in the case of some accounts, be aggregated, and margin requirements would be assessed on a portfolio

basis, measuring the total risk of the combined positions.

exchanges have passed

certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would,

in the case of some accounts, be aggregated, and margin requirements would be assessed on a portfolio basis, measuring the total risk

of the combined positions.

Sponsor Fee Allocation of Expenses

The Sponsor is responsible for investing the assets

of the Fund in accordance with the objectives and policies of the Fund.

The Fund pays the Sponsor

a Management Fee, monthly in arrears, in an amount equal to 0.90% per annum of the daily NAV of the Fund.

The Management Fee is

paid in consideration of the Sponsor’s services related to the management of the Fund’s business and affairs, including

the provision of commodity futures trading advisory services.

Creation with cash may cause the Fund to incur certain costs including

brokerage commissions and redemptions of creation units with cash may result in the recognition of gains or losses that the Fund

might not have incurred if it had made redemptions in-kind.

The Fund pays all of its respective brokerage commissions, including

applicable exchange fees, NFA fees and give-up fees, and other transaction related fees and expenses charged in connection with

trading activities for the Fund’s investments in CFTC regulated investments.

The Fund also pays all fees and commissions

related to the EFP transactions for the sale and purchase of spot bitcoin, including any bitcoin transaction fees for on-chain

transfers of bitcoin.

The Fund bears other transaction costs related to the FCM capital requirements on a monthly basis.

pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor,

including but not limited to, fees and expenses of the Administrator, Sub-Administrator, Custodians, Marketing Agent, Transfer

Agent, licensors, accounting and audit fees and expenses, tax preparation expenses, legal fees, ongoing SEC registration fees,

individual Schedule K-1 preparation and mailing fees, and report preparation and mailing expenses.

The Sponsor is responsible for investing the assets of the Fund in

accordance with the objectives and policies of the Fund.

The Fund pays the Sponsor a Management Fee, monthly

in arrears, in an amount equal to 0.90% per annum of the daily NAV of the Fund.

The Management Fee is paid in consideration of the Sponsor’s

services related to the management of the Fund’s business and affairs, including the provision of commodity futures trading advisory

Creation with cash may cause the Fund to incur certain costs including brokerage commissions and redemptions of creation units

with cash may result in the recognition of gains or losses that the Fund might not have incurred if it had made redemptions in-kind.

Fund pays all of its respective brokerage commissions, including applicable exchange fees, NFA fees and give-up fees, and other transaction

related fees and expenses charged in connection with trading activities for the Fund’s investments in CFTC regulated investments.

The Fund also pays all fees and commissions related to the EFP transactions for the sale and purchase of spot bitcoin, including any bitcoin

transaction fees for on-chain transfers of bitcoin.

The Fund bears other transaction costs related to the FCM capital requirements on

a monthly basis.

The Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as

determined by the Sponsor, including but not limited to, fees and expenses of the Administrator, Sub-Administrator, Custodians, Marketing

Agent, Transfer Agent, licensors, accounting and audit fees and expenses, tax preparation expenses, legal fees, ongoing SEC registration

fees, individual Schedule K-1 preparation and mailing fees, and report preparation and mailing expenses.

The Fund pays all of its non-recurring

and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are unexpected

or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses.

Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Fund.

operational, administrative and other ordinary expenses are not deemed extraordinary expenses.

federal income tax

purposes, the Fund will be treated as a partnership.

Therefore, the Fund does not record a provision for income taxes because the

partners report their share of the Fund’s income or loss on their income tax returns.

The financial statements reflect the

Fund’s transactions without adjustment, if any, required for income tax purposes.

Quantitative and Qualitative Disclosures

About Market Risk

Non-recurring and unusual fees and expenses are unexpected or unusual

in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses.

Extraordinary

fees and expenses also include material expenses which are not currently anticipated obligations of the Fund.

Routine operational, administrative

and other ordinary expenses are not deemed extraordinary expenses.

federal income tax purposes, the Fund

will be treated as a partnership.

Therefore, the Fund does not record a provision for income taxes because the partners report their share

of the Fund’s income or loss on their income tax returns.

The financial statements reflect the Fund’s transactions without

adjustment, if any, required for income tax purposes.

Quantitative and Qualitative Disclosures About Market Risk

Not applicable.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis